SEB Asset Selection Fund

Fact sheet as of 18 October, 2019

Past performance does not guarantee future performance. The value of investment funds and other financial instruments may rise as well as fall and there is no guarantee you will recover your original investment. Key investor information documents and prospectuses are available on www.sebgroup.lu/funds.

The fund aims to create capital growth in the long term from an absolute perspective. Consequently the fund has no benchmark. The fund takes positions globally in one or several of the following asset classes: equities, currencies, bonds and commodity indices. The return target is the risk free rate plus 5 percentage points per year, measured as an average over a period of 3-5 years. The fund manager typically invests the cash in short term bonds issued by governments or companies with the aim to generate the risk free rate of return. In pursuit of excess return the fund manager takes derivatives positions - mainly in futures and forwards - on indices or single instruments in the equity, bond, currency and commodity markets. The futures and forwards positions may be long, meaning they will gain from a rising market or lose from a falling market; or short, meaning they will lose from a rising market or gain from a falling market. Transaction costs may be high due to the fund's strategy. Transactions costs are taken from the fund.

INVESTMENT TEAM

The fund is managed by our Global Quant Team with Hans-Olov Bornemann as the lead portfolio manager. The team, based in Stockholm, has won several international awards over the years.

Performance (EUR)

NAV: 15.95 (10/18/2019). AuM (M EUR):863.83 (9/30/2019)
When calculating the returns the inflation is not taken into account

Return % EUR

Accumulated
since
Fund Benchmark
1 day -0.49 -
1 month -2.36 -
6 months 0.18 -
1 year 1.94 -
2 years -6.15 -
3 years -4.82 -
5 years 5.25 -
Year to date 1.25 -
Average annual growth
3 years -1.63 -
5 years 1.03 -

Largest positions1 Share  %

Euribor Short Future LIFFE 3M Sept 2020 80.1
UK Short Future LIFFE 3M September 2020 76.1
US Short Future CME 3M September 2020 49.9
Euro Schatz Future 2 Year Dec 2019 29.0
US Treasury Notes 2 Year Dec 2019 28.5
Korea Bond Future 3 Year Dec 2019 28.5
Euro Bobl Future 5 Year Dec 2019 28.4
Dutch Treasury Certificate 200228 20.2
Dutch Treasury Certificate 200131 20.0
Dutch Treasury Certificate 191129 19.5
1Last updated 9/30/2019. Source: SEB

risk measures 1

Standard Deviation (Fund)8.8
Standard Deviation (Index)-
Tracking error-
Sharpe Ratio-0.05
Information Ratio-
Alpha-
Beta-
124 months rolling. Last updated 30 September, 2019

Other information

As of 2 November 2016, the fund´s Management company is SEB Investment Management AB. SEB works actively with sustainability and follows the UN Principles for Responsible Investments. Read more at www.sebgroup.com

SEB Asset Selection Fund, 18 October 2019

Investment comment

Texts as of September 2019
  • Rising stock markets and rising interest rates
  • Bonds, equities and currencies detracted
  • Increased equity exposure

Market Update

The period was characterized by rising equity markets, with the average equity index future rising 2.86%, and falling bond future markets, returning -0.91% on average (or -3.79% on a risk adjusted basis). US equities, represented by the S&P500 Index-future, delivered a return of 1.77%. The world’s most liquid bond future, the 10-year US Treasury Note future, lost -1.07% during the period, while its German sibling returned -1.15%.The Dollar strengthened with 0.05% versus a basket of developed currencies, including, among others, the Euro and the Yen. Commodity markets saw prices rise with 2.50%, on average. Crude oil prices fell with -1.71% while gold saw its price move down with -3.69%.

Fund update

During the period SEB Asset Selection Fund C (EUR) returned -3.26%, net of fees. The largest performance contributors on an asset class level were Fixed income contributing with -1.80%, Equities contributing with -0.65% and Currencies contributing with -0.51%. On a strategy level the largest contribution came from Trend - Medium Term, delivering -1.25%, followed by Trend - Short Term, returning -1.21%. The major contributors to return on an instrument level were GBP/USD, Topix Japan and Nikkei Japan (SGX), contributing with -0.28%, -0.26% and -0.24% respectively. The base portfolio, consisting of risk free short-term bills, returned -0.04% during the period. The largest portfolio changes on a risk adjusted exposure basis were made within Equities, where the risk adjusted exposure was increased with 43.4% and within Fixed income, where the same exposure measure was reduced with -2.5%. The exposure to Trend - Short Term strategies was increased with 18.3% on a risk adjusted basis during the period, while Trend - Medium Term strategies saw their risk adjusted exposure being boosted by 15.1%. CHF/USD and MXN/USD were the instruments which experienced the most activity on a risk adjusted exposure basis, seeing changes of -8.9% and 6.3% respectively.

Strategy going forward

The current portfolio risk, measured as annualized standard deviation, stands at 7.3%. This is moderately lower than the fund’s long-term expected average volatility of 10.0%. The largest contributor to risk on an asset class level is Fixed income with a volatility estimate of 6.7%, followed by Currencies with a volatility estimate of 4.0%. The major contributors to risk on an instrument level are EUR/USD (1.23%), CHF/USD (1.18%) and NZD/USD (1.15%). Correlation differences between asset classes currently result in a diversification benefit of -8.3%. The actual exposures to the major asset classes are as follows: Equities 43%; Fixed income 210% and Currencies -76%.

Key Facts

Year of launch2006
Value at launch (EUR)10.00
Fund Management CompanySEB Investment Management AB
Risk Level (SRRI-scale 1-7)61
ISINLU0256624742
Base CurrencyEUR
Share ClassC (EUR)
Legal StructureUCITS
Turnover Ratio2.402
Use of derivativesYes3
1The value of the fund may vary substantially because of its composition and the portfolio management methods applied by the management company.
2From 12/31/2014
3In pursuit of excess return the fund manager takes derivatives positions (mainly in futures and forwards) on indices or single instruments within the equity, bond, currency and commodity markets.

Dividend

Non-distributing share class

Costs %

Management Fee1.10
Performance Fee20.001
Entry Fee0.05
Ongoing Charges21.153
1Of the difference between: a) the return exceeding the previously highest NAV/share (“High Water Mark”) and b) the return on the 3-month Treasury bill index since the High Water Mark was achieved. A negative index return is replaced by 0% index return.
2The ongoing charges include the management fee and constitute payment for fund management, including marketing and distribution. The ongoing charges do not include transaction costs such as brokerage commissions on securities transactions.
3From 15/02/2019

More information

Welcome to contact your financial advisor for more information or visit www.sebgroup.lu.

Important information

This material is prepared by SEB and contains general information regarding financial instruments marketed, sold or solicited by SEB. SEB is the global brand name for Skandinaviska Enskilda Banken AB (publ), its subsidiaries and affiliated companies. Neither this material nor the products described in it are intended for distribution or sale in the United States or to US persons, and any such distribution is not allowed. The offering of shares or units in the funds may also be restricted in other jurisdictions. This document may not be used to make an offer or solicitation with respect to the sale of shares or units where such an offer or solicitation is unlawful. Although the information in this material is based on sources deemed by SEB to be reliable, SEB assumes no liability whatsoever for incorrect or missing information or for any loss, damage or claim arising from the use of this material. Past performance does not guarantee future performance. The value of investment funds and other financial instruments may rise as well as fall and there is no guarantee you will recover your original investment. If you or a fund invests in financial instruments denominated in a foreign currency, changes in currency exchange rates can affect the return on the investment. SEB makes no representation that funds whose share or unit classes aim at hedging the fund’s return from changes in currency exchange rates will succeed in achieving this. Any tax information in this material is based on regulations valid as per the date of this presentation and may be subject to change. Note that any tax information in this material is general. Kindly contact your SEB investment advisor for tax and investment advice appropriate for your situation. You are fully and solely responsible for your investment decision. This material is not intended for or suitable as the sole basis for investment decisions. Instead, you should base your decision on the information in the fund’s product documentation, including its fact sheet, Key Investor Information Document, fund regulations and prospectus. These are available on www.sebgroup.lu/funds. Saturday, October 19, 2019 2:34:31 PM